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Price and liquidity discovery in European sovereign bonds and futures
Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022
to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …
Persistent link: https://www.econbiz.de/10013194146
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OTC discount
Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2021
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This is a challenge for theories of OTC markets centered around...
Persistent link: https://www.econbiz.de/10012643895
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OTC discount
Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2020
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. This is a challenge for theories of OTC markets centered around search...
Persistent link: https://www.econbiz.de/10012387914
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Loss sharing in central clearinghouses: winners and losers
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2021 - This version: February 16, 2021
Central clearing counterparties (CCPs) were created to reduce default losses for market participants in derivatives markets. We show that not all market participants benefit, and some are worse off. Loss sharing rules and their interaction with market network structure affect who are winners and...
Persistent link: https://www.econbiz.de/10012438426
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: October 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank …. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect channels through which the …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10012062155
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …
Persistent link: https://www.econbiz.de/10011923506
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Central bank-driven mispricing
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2018 - This version: August 2018
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank …. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect effects through which the …: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the …
Persistent link: https://www.econbiz.de/10011892699
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Loss sharing in central clearinghouses : winners and losers
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2023
Central clearing counterparties (CCPs) were established to mitigate default losses resulting from counterparty risk in derivatives markets. In a parsimonious model, we show that clearing benefits are distributed unevenly across market participants. Loss sharing rules determine who wins or loses...
Persistent link: https://www.econbiz.de/10014482946
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Price and liquidity discovery in European sovereign bonds and futures
Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022
to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …
Persistent link: https://www.econbiz.de/10013202461
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Price and Liquidity Discovery in European Sovereign Bonds and Futures
Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022
to understand the linkage between the cheapest to deliver bond and closest futures pairs by using high-frequency data on …
Persistent link: https://www.econbiz.de/10013289266